[R-SIG-Finance] IBrokers : quotes from futures combo and reqIds

[G See]

:-( I'm afraid it doesn't even work with "1" and "1"

Were you able to get market data for a twsBAG, Soren?

In May, Jeff suggested it doesn't work:
https://stat.ethz.ch/pipermail/r-sig-finance/2012q2/010258.html


On Thu, Jul 19, 2012 at 11:36 AM, me <me at censix.com> wrote:
> Hi Stergios
>
> I believe it is your ratios. They have to be integers.
> your second one is
>
> ratio = "1.06"
>
> You will have to calculate the most feasible rational approximation to
> your beta of
>
> -1.06/1
>
> One solution would be
>
> -21/20   ~   -1.05
>
> So you could set
>
> leg1: ratio = "21"
> leg2: ratio = "20"
>
> That should do it.
>
> Cheers
>
> Soren
>
> http://censix.com
>
>
> On Thu, 19 Jul 2012 08:28:17 -0700 (PDT)
> Stergios Marinopoulos <stergios_marinopoulos at yahoo.com> wrote:
>
>> I took Garrett's example and tried to get it working using IBrokers.
>>  It's starts writing data to a file as expected, but then the error
>> below is produced and quote data is no longer written to the file.
>>
>> 2 1 320 Error reading request:-'wc' : cause - Unable format field -
>>
>>
>>
>>
>> Here's the code:
>>
>> library(IBrokers) ;
>> tws <- twsConnect(1)
>> bag <- twsBAG(
>>     twsComboLeg(
>>         conId = "756733", #conId("SPY"),
>>         ratio = "1",
>>         action = "BUY",
>>         exchange = "SMART"
>>     )  ,
>>     twsComboLeg(
>>         conId = "73128548", #conId("DIA"),
>>         ratio = "1.06",
>>         action = "SELL",
>>         exchange = "SMART"
>>     )
>> )
>> bag.csv <- file("~/bag.csv", open="w")
>> reqMktData(tws, bag,
>>            eventWrapper=eWrapper.MktData.CSV(1),
>>            file=bag.csv)
>>
>>
>> --
>> Stergios Marinopoulos
>>
>>
>> ----- Original Message -----
>> From: G See <gsee000 at gmail.com>
>> To: Stergios Marinopoulos <stergios_marinopoulos at yahoo.com>
>> Cc: omerle <omerle at laposte.net>; "r-sig-finance at r-project.org"
>> <r-sig-finance at r-project.org> Sent: Thursday, July 19, 2012 11:11 AM
>> Subject: Re: [R-SIG-Finance] IBrokers : quotes from futures combo and
>> reqIds
>>
>> On Thu, Jul 19, 2012 at 10:09 AM, Stergios Marinopoulos
>> <stergios_marinopoulos at yahoo.com> wrote:
>> > In Java, if you create a proper BAG Contract you can use it with
>> > reqMktData() or reqHistoricalData().  I imagine the same holds true
>> > in R as well.  (I can send Java examples if interested.)
>> >
>> > Try using IBrokers twsBAG() function to create a combo contract,
>> > and use the returned object as the contract to IBrokers's
>> > equivalent of reqMktData() and data should start streaming.
>> >
>>
>> I'm unable to get that to work.  If anyone else can get it to work,
>> please share your secret.
>>
>> Thanks,
>> Garrett
>>
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>
>
>
> ------------------------------------------------------------------
> Soren Wilkening
>
> http://censix.com